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Is streaming market data including market depth available in Multicharts via an API?
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Is streaming market data including market depth available in Multicharts via an API?

  #1 (permalink)
 Vendor: highfrequencyfootprint.com 
Minneapolis Minnesota
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart
Broker/Data: IQFeed
Favorite Futures: CL
 
Posts: 13 since Apr 2014
Thanks: 6 given, 3 received

Is streaming market data including market depth available in Multicharts via an API?

I have done some research but wasn't able to fully answer if there is a programmatic way to access live streaming data in Multicharts via EasyLanguage or whatever other language API they have. By live streaming data I mean event based updates to best bid/ask (bid size/ask size) and also market depth. I.e., I am not looking to call a method to get the current best bid/ask etc. but rather receive it via some API raising an event on all such updates. Will appreciate any concrete pointers.

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  #2 (permalink)
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  #3 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
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HFF Trader,

as far as I am aware you can only receive snapshots at user set time intervals.

Regards,
ABCTG

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  #4 (permalink)
 Vendor: highfrequencyfootprint.com 
Minneapolis Minnesota
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart
Broker/Data: IQFeed
Favorite Futures: CL
 
Posts: 13 since Apr 2014
Thanks: 6 given, 3 received

Thanks for the response, that is my impression so far. Their support desk answered with 'it should be possible' and passing some links that contained documentation of PowerLanguage... Still I am not giving up just yet.

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  #5 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 854 received
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HFF Trader,

you are welcome. What links did they give you?

Regards,
ABCTG

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  #6 (permalink)
 Vendor: highfrequencyfootprint.com 
Minneapolis Minnesota
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart
Broker/Data: IQFeed
Favorite Futures: CL
 
Posts: 13 since Apr 2014
Thanks: 6 given, 3 received

Hi,

this is a quote from them:

"Yes, indicators and strategies from both MC and MC .Net are able to access L1 and L2 data. You can find more info here - http://www.multicharts.com/trading-software/index.php/Main_Page"

However, it doesn't claim you can access them via events, not just as a method call. Anyone doing serious order flow analysis needs event based approach, someone here has to know whether this is/is not possible to do in that platform.

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  #7 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 854 received
Forum Reputation: Legendary

HFF Trader,

it doesn't claim that because it is not possible. Another limitation is that you are currently only able to access L2 data with broker feeds.
Regarding the event driven approach, one question that arises right away is how good the quality of the data feed is. Even if you receive updates of every event, from my experience you are still missing data compared to the direct exchange feed.

Regards,
ABCTG


HFF Trader View Post
Hi,

this is a quote from them:

"Yes, indicators and strategies from both MC and MC .Net are able to access L1 and L2 data. You can find more info here - http://www.multicharts.com/trading-software/index.php/Main_Page"

However, it doesn't claim you can access them via events, not just as a method call. Anyone doing serious order flow analysis needs event based approach, someone here has to know whether this is/is not possible to do in that platform.


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  #8 (permalink)
 Vendor: highfrequencyfootprint.com 
Minneapolis Minnesota
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart
Broker/Data: IQFeed
Favorite Futures: CL
 
Posts: 13 since Apr 2014
Thanks: 6 given, 3 received

Thank you for letting me know. Although I agree with your remarks about the quality of feed, that approach allows at least theoretically to get complete data. Yes, it depends on how the data feed provider is able to handle and pass on the traffic to the user... IQFeed is doing fine in that regard but many feeds don't (even purposefully).

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  #9 (permalink)
 Vendor: highfrequencyfootprint.com 
Minneapolis Minnesota
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart
Broker/Data: IQFeed
Favorite Futures: CL
 
Posts: 13 since Apr 2014
Thanks: 6 given, 3 received

I am still a little puzzled that this is not possible but it seems to be the case. That means no serious order flow third party software is capable of properly interfacing with Multicharts?. Is that the case with Tradestation too?

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  #10 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,527 since Apr 2013
Thanks: 229 given, 854 received
Forum Reputation: Legendary


HFF Trader,

you should create an entry in the MC project management so others can vote and raise the likelihood of an implementation.

Tradestation has the MarketDepthProvider class that provides realtime updates and no snapshots.

Regards,
ABCTG


HFF Trader View Post
I am still a little puzzled that this is not possible but it seems to be the case. That means no serious order flow third party software is capable of properly interfacing with Multicharts?. Is that the case with Tradestation too?


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